Abstract
A macroeconomic model of exchange rates is mixed with classical life insurance, annuity and compound Poisson aggregate claim models to create foreign exchange-adjusted insurance models. The resulting models may be used to measure the potential foreign exchange risk of mixed currency products, for example, products for which premiums are collected and benefits are paid in different currencies. Numerical examples illustrate the foreign exchange risks of such products.
Volume
4:2
Page
88-100
Year
2000
Categories
Financial and Statistical Methods
Asset and Econometric Modeling
Foreign Exchange
Publications
North American Actuarial Journal
